2021/09/24 by Peter Reinhard Hansen, Chan Kim, Hansen, Peter Reinhard +3 · 1 citation
Computer Science · Economics, Econometrics and Finance · #Blockchain Technology Applications and Security #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #econ.EM #q-fin.PR #q-fin.TR
paper · pdf · doi:10.48550/arxiv.2109.12142
arxiv created 2021/11/03 · arxiv updated 2021/11/05
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns in both volatility and volume across day-of-the-week, hour-of-the-day, and within the hour. These patterns have grown stronger over the years and can be related to algorithmic trading and funding times in futures markets. We also document that price formation mainly takes place on the centralized exchanges while price adjustments on the decentralized exchanges can be sluggish.